Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0125 |
| Annualized Std Dev | 0.5542 |
| Annualized Sharpe (Rf=0%) | 0.0226 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3555.0000 |
| NAs | 1.0000 |
| Minimum | -0.2468 |
| Quartile 1 | -0.0144 |
| Median | 0.0019 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0170 |
| Maximum | 0.2352 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0018 |
| Variance | 0.0012 |
| Stdev | 0.0349 |
| Skewness | -0.3431 |
| Kurtosis | 6.6583 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0256 |
| Gain Deviation | 0.0239 |
| Loss Deviation | 0.0278 |
| Downside Deviation (MAR=210%) | 0.0294 |
| Downside Deviation (Rf=0%) | 0.0253 |
| Downside Deviation (0%) | 0.0253 |
| Maximum Drawdown | 0.9284 |
| Historical VaR (95%) | -0.0534 |
| Historical ES (95%) | -0.0867 |
| Modified VaR (95%) | -0.0554 |
| Modified ES (95%) | -0.1026 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-19 | 2009-03-02 | NA | -0.9284 | 3211 | 176 | NA |
| 2007-10-30 | 2008-01-22 | 2008-05-16 | -0.3348 | 138 | 57 | 81 |
| 2007-07-20 | 2007-08-16 | 2007-10-09 | -0.3117 | 57 | 20 | 37 |
| 2007-02-27 | 2007-03-05 | 2007-04-09 | -0.1475 | 29 | 5 | 24 |
| 2008-05-19 | 2008-05-27 | 2008-06-05 | -0.1027 | 13 | 6 | 7 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.4 | -0.1 | -2.7 | 2 | 0.6 | 0.6 | 4.1 | 3 | -6.8 | 0.9 | -2.5 | -0.9 |
| 2008 | 6 | -5.7 | 4.4 | -1.3 | 2.4 | -1.6 | -5.7 | -2.4 | -6.2 | 2.4 | -21 | 4.1 | -24.5 |
| 2009 | -8.8 | -1.1 | 7.4 | 3.1 | 8.2 | 0.9 | 3.8 | -5.4 | -8.5 | -7.5 | 3.3 | -2.6 | -8.7 |
| 2010 | 8.5 | 4.1 | 3.9 | -4 | -7.7 | -1.5 | 1.3 | 6.7 | 2.9 | 0.5 | 5.4 | 0.2 | 20.7 |
| 2011 | 5.6 | -4.1 | 0.4 | 1.3 | -6 | 1.8 | -0.3 | -3 | -7.4 | -5.9 | -1.3 | 0.2 | -17.8 |
| 2012 | 2.7 | 1.8 | 0.7 | 1.3 | -3.9 | 5.9 | -0.4 | 2.4 | 0.6 | 5 | 0.3 | 4 | 22.1 |
| 2013 | 1.9 | -0.8 | -2.6 | -4.2 | -2.3 | 1.7 | 1.2 | -0.5 | 1.2 | -0.3 | 0.3 | 0.5 | -4 |
| 2014 | -0.9 | 0.6 | 1.3 | -1 | -0.5 | 0.4 | 0.8 | 0.5 | -4.9 | 3.7 | -2.4 | -2 | -4.8 |
| 2015 | -0.4 | -0.4 | -0.2 | 3 | -0.1 | 0.4 | -0.8 | -6.3 | 1.5 | 0.3 | 1.1 | -1.1 | -3.3 |
| 2016 | 0.6 | 4.8 | 1.6 | -1 | 0.5 | 0.7 | -0.9 | 0.2 | 1.1 | -0.7 | -0.5 | -1.5 | 4.9 |
| 2017 | 1.2 | 3.7 | -0.8 | 0.1 | 2.6 | 1.1 | 0.6 | 1.2 | 0.2 | 1.2 | -1.6 | -0.3 | 9.4 |
| 2018 | -2.7 | -1.2 | 3.8 | -0.6 | 3 | 1.3 | -2.1 | 0.7 | 1.3 | 6.2 | -0.4 | 0.9 | 10.3 |
| 2019 | 1.1 | 0 | 3.3 | -3.7 | -2.8 | 0.9 | -2.2 | 1.6 | -4.5 | 3.5 | -0.9 | 1.5 | -2.5 |
| 2020 | -4.4 | -3.6 | -9.3 | -5.1 | 1.6 | -1.1 | 0.3 | 4.8 | -3 | -1.5 | 2.5 | 0.6 | -17.4 |
| 2021 | 2.4 | 5 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 72.7 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 72.2 SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 72.5 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-06 72.8 SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
5 2007-02-07 72.8 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
6 2007-02-08 72.9 SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
